If you have problems when connecting to the Gmail service you should check the following:
Make sure you entered the correct username and password. Try to use the same login credentials on the Gmail webinterface and see if you can login there.
Use your complete e-mail address in the username field if you have a googlemail.com or Google Apps (hosted) address.
Make sure that the correct proxy settings are configured in the MS Internet Explorer settings. If you are behind a proxy that requires you to enter user authentication (username and password) you can add this information under the More button in the Login dialog in GMail Drive.
Make sure that your local firewall (Windows built-in) does not block explorer.exe (Windows Explorer) from accessing the internet. GMail Drive lives inside the Windows Explorer most of the time.
If you see an "Unspecified potential security flaw" warning, it's because Microsoft Windows Update rolled out patch KB921398. Apparently you can avoid this error by adding the gmail.com and google.com domains to the Trusted Site list in Internet Explorer.
Make sure that you set your cookie level inside Internet Explorer to a reasonable low level, or at least allow gmail.com and google.com domains to set cookies in Internet Explorer.
Make sure that you do not have any 3rd party applications enabled that block or interfere with the internet connection. It has been seen that some ad-stripping tools will remove cookies from the connection.